/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2011 Klaus Spanderen

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

/*! \file fdoujumpvanillaengine.cpp
    \brief Finite Differences Ornstein Uhlenbeck plus exponential jumps engine 
           for simple swing options
*/

#include <ql/exercise.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpsolver.hpp>
#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
#include <ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp>

namespace QuantLib {

    FdExtOUJumpVanillaEngine::FdExtOUJumpVanillaEngine(
            const std::shared_ptr<ExtOUWithJumpsProcess> &process,
            const std::shared_ptr<YieldTermStructure> &rTS,
            Size tGrid, Size xGrid, Size yGrid,
            const FdmSchemeDesc &schemeDesc)
            : process_(process),
              rTS_(rTS),
              tGrid_(tGrid),
              xGrid_(xGrid),
              yGrid_(yGrid),
              schemeDesc_(schemeDesc) {
    }

    void FdExtOUJumpVanillaEngine::calculate() const {
        // 1. Mesher
        const Time maturity
                = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
                                                  arguments_.exercise->lastDate());
        const std::shared_ptr<StochasticProcess1D> ouProcess =
        process_->getExtendedOrnsteinUhlenbeckProcess();
        const std::shared_ptr<Fdm1dMesher> xMesher =
                std::make_shared<FdmSimpleProcess1dMesher>(xGrid_, ouProcess, maturity);

        const std::shared_ptr<Fdm1dMesher> yMesher =
                std::make_shared<ExponentialJump1dMesher>(yGrid_,
                                                          process_->beta(),
                                                          process_->jumpIntensity(),
                                                          process_->eta());

        const std::shared_ptr<FdmMesher> mesher =
                std::make_shared<FdmMesherComposite>(xMesher, yMesher);

        // 2. Calculator
        const std::shared_ptr<FdmInnerValueCalculator> calculator =
        std::make_shared<FdmExtOUJumpModelInnerValue>(arguments_.payoff, mesher);

        // 3. Step conditions
        const std::shared_ptr<FdmStepConditionComposite> conditions =
                FdmStepConditionComposite::vanillaComposite(
                        DividendSchedule(), arguments_.exercise,
                        mesher, calculator,
                        rTS_->referenceDate(), rTS_->dayCounter());

        // 4. Boundary conditions
        const FdmBoundaryConditionSet boundaries;

        // 5. set-up solver
        FdmSolverDesc solverDesc = {mesher, boundaries, conditions,
                                    calculator, maturity, tGrid_, 0};

        const std::shared_ptr<FdmExtOUJumpSolver> solver =
                std::make_shared<FdmExtOUJumpSolver>(Handle<ExtOUWithJumpsProcess>(process_),
                                                     rTS_, solverDesc, schemeDesc_);

        const Real x = process_->initialValues()[0];
        const Real y = process_->initialValues()[1];
        results_.value = solver->valueAt(x, y);
    }
}
